Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments. September 30, 2018

Transcription

1 Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments September 30, 2018

2 Economic Update: Overall Economy 6 U.S. GDP (Quarter over Quarter Annualized)* Percent Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 9/30/18 September 30,

3 Economic Update: Employment Thousands Monthly Non-Farm Payrolls Percent Unemployment Rates California LA Area U.S.A 0 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 3 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 211,417 Data Source: Bloomberg September 30,

4 Economic Update: Consumer Activity 4.50 U.S. Retail Sales* YOY % Change $520 Total Monthly U.S. Retail Sales 4.00 $510 Percent Billions $500 $490 $480 $470 $460 $450 $ $ Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 $420 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 *Inflation Adjusted Data Source: Bloomberg September 30,

5 Economic Update: Inflation 3.5 CPI and CPIX* YOY % Change Sector YOY % Price Changes Energy Shelter Wages Services 2.6 Percent Education CPI CPI Food CPIX Communication Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 *CPIX: Consumer Price Index, excluding food and energy Apparel Percent Data Source: Bloomberg September 30,

6 Economic Update: Dollar and Commodities Index Value Dollar Index Gold-Per Ounce $2,000 $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 Gold and Oil Gold Oil Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17 Apr-18 $120 $110 $100 $90 $80 $70 $60 $50 $40 $30 $20 Oil-Per Barrel Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17 Apr-18 Data Source: Bloomberg September 30,

7 Economic Update: Sector Returns YTD As of: 9/30/ Percent Data Source: Bloomberg September 30,

8 Economic Update: S&P 500 Returns As of: 9/30/18 25 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg September 30,

9 Economic Update: Yield Curve FYTD U.S. Treasury Yield Curve Maturity 6/29/18 9/28/18 Change 3M M Y Percent /29/18 9/28/18 2Y Y Y Y M6M 1Y 2Y 3Y 5Y 10Y 30Y 30Y Data Source: Bloomberg Figures may not total due to rounding September 30,

10 Economic Update: Interest Rates Percent U.S. Treasury Yields: 3M and 1Y 1Y 3M Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 Percent U.S. Treasury Yields: 2Y and 5Y Y Y 0.00 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 Data Source: Bloomberg September 30,

11 Economic Update: Agency and Corporate Spreads 16 Spread*: 1-5 Yr Agency vs Treasury 175 Spread*: 1-5 Yr Corporate vs Treasury Basis Point Spread Basis Point Spread Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Feb-17 Jun-17 Oct-17 Feb-18 Jun-18 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) 25 Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Feb-17 Jun-17 Oct-17 Feb-18 Jun-18 *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg September 30,

12 Summary Portfolio Characteristics Market Value Book Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $2,480,031, $6,626,311, $2,489,853, $6,787,187, Total General Portfolio $9,106,342,990 $9,277,041,113 Variance ($9,821,895) -- ($160,876,228) -- ($170,698,123) Mkt Value % of Total 27.2% % % Average Maturity (Yrs)** Effective Duration** Weighted Purchase Yield## % % % *Core Benchmark: 3 Month T-Bill (G0O1 ICE BofAML Index) #Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10 ICE BofAML Index) **Average Maturity after rebalancing for the indexes--portfolios based upon trade date holdings, Core Average Maturity includes checking ## Weighted Purchase Yield for Core does not include checking September 30,

13 Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 9/30/18 8/31/18 10% 5% 0% to.5.5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ Years to.5.5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ 9/30/ % 4.9% 9.5% 24.0% 19.9% 15.0% 13.8% 8/31/ % 4.1% 9.8% 24.1% 20.4% 15.3% 13.4% Variance 0.1% 0.7% -0.3% -0.1% -0.5% -0.3% 0.4% September 30,

14 Total General Portfolio: Maturity Distribution by Month Combined Maturity Distribution* Millions Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 0 Month *Calculated using par values, includes checking September 30,

15 Sector Allocations: Total General Portfolio Sector 9/30/18 8/31/18 Variance Bank Deposits 1.0% 1.0% 0.0% September 30, 2018 Bank Dep 1.0% CDARS Commercial Paper 0.0% 7.9% 0.0% 0.0% 8.6% -0.7% CP 7.9% Corporate Notes ABS 15.8% 1.3% 15.9% -0.2% 1.2% 0.0% CORP 15.8% MMF 0.1% MMFs Negotiable CDs Agencies* 0.1% 0.0% 8.8% 0.1% 0.0% 0.0% 0.0% 8.9% -0.1% Tsy 65.3% Agy 8.8% ABS 1.3% Treasuries 65.3% 64.3% 1.0% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding September 30,

16 Sector Allocations: Core Portfolio Core Portfolio Sector 9/30/18 8/31/18 Variance September 30, 2018 Bank Deposits 3.6% 3.8% -0.2% CDARS 0.0% 0.0% 0.0% Commercial Paper 28.9% 32.1% -3.3% Corporate Notes 10.8% 10.3% 0.5% MMFs 0.2% 0.2% 0.0% Tsy 47.5% Bank Dep 3.6% Negotiable CDs 0.0% Agencies* 9.0% Treasuries 47.5% Total 100.0% *Includes Supranational and Municipal Securities 0.0% 0.0% 9.5% -0.5% 44.0% 3.5% 100.0% MMF 0.2% Agy 9.0% Corp 10.8% CP 28.9% Figures may not total due to rounding September 30,

17 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.4% Bubble size = Sector's % of Portfolio Sector WAM (Yrs.) Purchase Yield % of Portfolio* Negotiable CDs % 2.2% 2.0% CP Agy Corp Corporate Notes % 11.2% Commercial Paper % 30.0% Money Market % 0.2% Purchase Yield 1.8% 1.6% Agencies** % 9.4% Treasuries % 49.3% 1.4% 1.2% MMF Tsy Total % 100.0% *Based on Market Value **Includes Supranational Securities 1.0% WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP September 30,

18 Sector Allocations: Reserve Portfolio Reserve Portfolio September 30, 2018 Sector 9/30/18 8/31/18 Variance Treasuries 72.0% 71.7% 0.3% Corp 17.6% Agencies* 8.7% 8.6% 0.1% ABS 1.7% Corporate Notes 17.6% 18.0% -0.4% ABS 1.7% 1.7% 0.0% Total 100.0% 100.0% Tsy 72.0% Agy 8.7% *Includes Supranational and Municipal Securities Figures may not total due to rounding September 30,

19 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.65% Bubble size = Sector's % of Portfolio Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.45% Corp Treasuries % 72.0% Agencies** % 8.7% Corporate Notes % 17.6% ABS % 1.7% Purchase Yield 2.25% 2.05% ABS Total % 100.0% *Based on Market Value **Includes Supranational and Municipal Securities 1.85% Agy Tsy 1.65% WAM Years Figures may not total due to rounding September 30,

20 Core and Reserve Market Values Month End Market Values $4.0 Core* $7.5 Reserve $3.5 $7.0 $3.0 $6.5 Billions $2.5 $2.0 $1.5 $1.0 $0.5 $0.0 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Mar-18 Oct-18 Billions $6.0 $5.5 $5.0 $4.5 $4.0 $3.5 $3.0 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Mar-18 Oct-18 *Core's market value includes checking accounts September 30,

21 Total General Portfolio: Market Value Total General Portfolio Market Value $11.5 $10.5 $9.5 Billions $8.5 $7.5 $6.5 $5.5 $4.5 Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Nov-18 September 30,

22 Total General Portfolio: % of Portfolio: Core vs Reserve % of Total General Portfolio: Core vs Reserve 100% 90% 80% 70% 60% 50% 40% Reserve Core 30% 20% 10% 0% Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Nov-18 September 30,

23 Portfolio Compliance with Code, Policy, and Guidelines Maturity Limitations* Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances Limit 5 Years 270 Days 180 Days 1 Year 32 Days 92 Days 5 Years 5 Years 5 Years 180 Days Compliance Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Supranational Obligations 5 Years Complies *The City's Investment Policy and Investment guidelines allow for purchases of securities with longer maturities than those listed above for funds with longer investment/cash flow horizons. September 30,

24 Portfolio Compliance with Code, Policy, and Guidelines Percentage Allocation Limitations Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances State/Local Agency Securities Mutual Funds/Money Market Funds LAIF State Pool Limit 100% 40% 180 Days 1 Year 15% 5% Reverse Repo/20% Revs. Repo +Sec Lending 30% 20% Combined with ABS 20% Combined with MBS 30% 10% 20% $65 Million Per Account Compliance Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Supranational Obligations 30% Complies September 30,

25 Portfolio Compliance with Code, Policy, and Guidelines Issuer and Transaction Limitations -- Approved Issuers Item Limit Compliance Government Issuer 100% Complies Non-Governmental Issuer 5% Complies Single Transaction $200 Million w/o Treasurer's Written Approval Complies Dealers From Approved List Complies Commercial Paper From Approved List Complies Corporate Notes From Approved List Complies Supranational Obligations From Approved List Complies September 30,

26 Portfolio Compliance with Code, Policy, and Guidelines Portfolio Maturity Limitations and Duration Ranges Core Portfolio Item Limit Compliance Maturity Limitation One Year Complies Reserve Portfolio Item Limit Compliance Effective Duration 1-5 Govt/Corp Index +/-.10 Complies: 2.64 vs 2.62 September 30,

27 Portfolio Statistics: Yield and Duration Purchase Yield: Core vs Benchmark* Purchase Yield: Reserve vs Benchmark* 6% 5% Core Benchmark 5% 4% Reserve Benchmark Percent 4% 3% 2% Percent 3% 2% 1% 1% 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 *Benchmark: 3 Month T-Bill (3 Month Moving Average) 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/13 Duration Core Duration Core Benchmark Duration Reserve Duration Reserve Benchmark 0.05 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. September 30,

28 Portfolio Statistics: Historical Purchase Yields Percent 5.50% 5.25% Reserve 5.00% Total Portfolio 4.75% 4.50% Core 4.25% 4.00% 3.75% 3.50% 3.25% 3.00% 2.75% 2.50% 2.25% 2.00% 1.75% 1.50% 1.25% 1.00% 0.75% 0.50% 0.25% 0.00% Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Jul-19 September 30,

29 Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.2% 2.1% Bubble Size = Maturity's % of Portfolio Months Purchase Yield % of Portfolio* 0 to % 45.24% 2.0% 1.98% 3 to % 12.51% 1.9% 6 to % 17.68% 9 to % 24.57% Total 1.71% % Purchase Yield 1.8% 1.7% 1.6% 1.61% 1.5% 1.4% 1.3% 1.39% 1.36% *Based on Par Value 1.2% Years September 30,

30 Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio 3.1% Years Purchase Yield % of Portfolio*.5 to % 2.9% Bubble Size = Maturity's % of Portfolio 2.84% 1.0 to % 14.90% 2.7% 1.5 to % 15.88% 2.0 to % 15.30% 2.5 to % 13.89% 3.0 to % 11.47% 3.5 to % 9.55% Purchase Yield 2.5% 2.3% 2.1% 1.9% 1.92% 1.91% 1.96% 2.43% 4.0 to to % 2.84% 7.65% 11.37% 1.7% 1.5% 1.62% 1.73% 1.61% Total 1.94% % *Based on Par Value 1.3% Years September 30,

31 Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 0 to % 16.92% 0.5 to % 8.50% 1.0 to % 12.05% 1.5 to % 11.67% 2.0 to % 11.24% 2.5 to % 10.21% 3.0 to % 8.43% 3.5 to % 7.02% 4.0 to % 5.62% 4.5 to % 8.35% Total 1.88% % *Based on Par Value Purchase Yield 3.2% 3.0% 2.8% 2.6% 2.4% 2.2% 2.0% 1.8% 1.6% 1.4% Bubble Size = Maturity's % of Portfolio 1.81% 1.61% 1.52% 1.73% 1.61% 1.92% 1.91% 1.96% 2.43% 2.84% 1.2% Years September 30,

32 Portfolio Statistics: Historical Effective Duration Duration Reserve Total Portfolio Core Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 September 30,

33 Total General Portfolio Statistics: Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Bank/Sweep ABS MBS 0% Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Sector Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Tsy 56.8% 57.6% 54.9% 55.5% 55.1% 56.3% 54.3% 53.0% 63.2% 62.2% 64.3% 65.3% Agy* 9.5% 10.7% 9.4% 7.8% 7.1% 7.2% 9.3% 10.7% 10.1% 11.2% 8.9% 8.8% Corp 16.9% 16.9% 15.1% 15.3% 14.7% 14.8% 14.4% 13.7% 15.9% 16.1% 15.9% 15.8% CP 13.2% 12.6% 18.8% 19.4% 19.6% 19.3% 19.8% 20.8% 7.1% 6.4% 8.6% 7.9% Neg. CDs 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% ABS 1.0% 1.0% 0.9% 0.9% 1.0% 1.2% 1.2% 1.1% 1.3% 1.2% 1.2% 1.3% Bank 2.6% 1.3% 1.0% 1.1% 2.6% 1.1% 1.0% 0.8% 2.5% 2.8% 1.1% 1.0% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Figures may not total due to rounding *Includes Supranational and Municipal securities September 30,

34 Book Return: Core Portfolio Percent Variance 2.20% 2.10% 2.00% 1.90% 1.80% 1.70% 1.60% 1.50% Monthly Performance Variance: Core vs Benchmark Core Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Core Portfolio Custom Benchmark* Variance 1.5% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.64% 1.69% 1.67% 2.06% 2.08% 2.16% -0.42% -0.39% -0.49% Fiscal Year Performance Variance: Core vs Benchmark Percent Variance 1.0% 0.5% 0.0% -0.5% -1.0% Fiscal YTD Core Portfolio Custom Benchmark* Variance FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.27% 0.56% 0.41% 0.64% 0.78% 1.55% 1.67% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.51% 2.10% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.04% -0.43% *Core Benchmark: 70% monthly average of 60 Day A1/P1 Bloomberg CP Index (DCBP060Y) and 30% monthly moving average of 30 Day Agy (AGDN030Y). For Fiscal Year Performance the average builds from beginning of fiscal year. Figures may not total due to rounding September 30,

35 Book Return: Reserve Portfolio Percent Variance 2.00% 1.95% 1.90% 1.85% 1.80% 1.75% 1.70% Monthly Performance Variance: Reserve vs Benchmark Reserve Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Reserve Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.84% 1.76% 1.86% 1.81% 1.88% 1.96% 0.03% -0.12% -0.10% Percent Variance 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% Fiscal YTD Reserve Portfolio Custom Benchmark* Variance Fiscal Year Performance Variance: Reserve vs Benchmark FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.55% 1.52% 1.41% 1.43% 1.42% 1.63% 1.82% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.42% 1.88% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.21% -0.06% *Reserve Benchmark: 24 month moving average of the ICE BofAML 1-5 year U.S. Government and U.S. Corporate A-AAA Index (BU10). For Fiscal Year Performance the average builds from beginning of fiscal year. Figures may not total due to rounding September 30,

36 Book Return: Combined Portfolios Percent Variance 2.05% 2.00% 1.95% 1.90% 1.85% 1.80% 1.75% 1.70% Monthly Performance Variance: Combined vs Benchmark Combined Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Combined Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.79% 1.74% 1.82% 1.86% 1.92% 2.00% -0.07% -0.18% -0.18% Percent Variance 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.4% Fiscal YTD Combined Portfolio Custom Benchmark* Variance Fiscal Year Performance Variance: Combined vs Benchmark FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.51% 1.36% 1.19% 1.40% 1.29% 1.78% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.93% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% -0.15% *Combined Benchmark: 80% of the Reserve Portfolio Benchmark and 20% of the Core Portfolio Benchmark. Average builds from beginning of fiscal year. Figures may not total due to rounding September 30,

37 Portfolio Statistics: Monthly Total Return 0.18% Core vs Benchmark -0.15% Reserve vs Benchmark 0.16% 0.14% -0.17% Percent Variance 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% Percent Variance -0.19% -0.21% -0.23% -0.25% 0.00% Core Benchmark -0.27% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.15% 0.15% 0.00% Monthly Performance -0.24% -0.25% 0.01% *Core Benchmark: 3 Month T-Bill (G0O1 ICE BofAML Index) *Reserve Benchmark: 1-5 Year Govt/U.S. Corp A-AAA (BU10 ICE BofAML Index) Sector Core Attribution of Sub-Sector Returns Core Return Core Weight Benchmark Return Benchmark Weight Variance Variance Treasury 0.12% % % Treasury -0.30% % % Agency* 0.16% % % Agency* -0.11% % % Credit** 0.17% % % Credit** -0.08% % % *Agency includes U.S. Agencies, Supranationals, and Municipal Securities **Credit includes Corporate Bonds, Asset-Backed Securites, CP, and CDs Weighted Sector Reserve Attribution of Sub-Sector Weighted Returns Reserve Return Reserve Weight Bechmark Return Benchmark Weight Benchmark Sector Returns are calculated by FTN Financial Main Street using the subsector returns of the BU10 index. Figures may not total due to rounding. Weighted September 30,

38 Total Return Performance: Core vs. Benchmark 1.80% 1.60% Core Index 1.70% 1.59% 1.40% 1.20% 1.00% 1.01% 0.84% 0.80% 0.60% 0.50% 0.49% 0.50% 0.49% 0.67% 0.51% 0.60% 0.40% 0.34% 0.20% 0.15% 0.15% 0.00% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year Portfolio Core Benchmark Variance Core Total Return 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years 0.15% 0.50% 0.50% 1.70% 1.01% 0.67% 0.60% 0.15% 0.49% 0.49% 1.59% 0.84% 0.51% 0.34% 0.00% 0.01% 0.01% 0.11% 0.17% 0.16% 0.26% *Core Benchmark: 3 Month T-Bill (G0O1) September 30,

39 Total Return Performance: Reserve vs. Benchmark 2.50% 2.00% Reserve Index 2.07% 2.02% 1.50% 1.00% 0.91% 0.88% 0.50% 0.50% 0.46% 0.16% 0.15% 0.16% 0.15% 0.00% -0.50% -0.24% -0.25% -0.45% -0.46% -1.00% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year Portfolio Reserve Benchmark Variance Reserve Total Return 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years -0.24% 0.16% 0.16% -0.45% 0.50% 0.91% 2.07% -0.25% 0.15% 0.15% -0.46% 0.46% 0.88% 2.02% 0.01% 0.01% 0.01% 0.01% 0.04% 0.03% 0.05% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 September 30,

40 Portfolio Statistics: Historical Total Return Performance Variance: Core vs 3 Mon T-bill 0.18% 0.16% 0.14% Percent Variance 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% 0.00% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Avg Core Portfolio 0.21% 0.23% 0.16% 0.15% 0.40% 0.70% 1.51% 0.50% 0.48% Benchmark* 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 1.37% 0.49% 0.35% Variance 0.17% 0.10% 0.09% 0.06% 0.03% 0.17% 0.14% 0.01% 0.14% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding September 30,

41 Portfolio Statistics: Historical Total Return Percent Variance Performance Variance: Reserve vs 1-5Yr Govt/Corp 0.10% 0.05% 0.00% -0.05% -0.10% -0.15% -0.20% -0.25% -0.30% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Avg Reserve Portfolio 2.38% 0.15% 1.55% 1.38% 2.56% -0.25% -0.27% 0.16% 0.96% Benchmark* 2.36% 0.39% 1.53% 1.39% 2.51% -0.30% -0.27% 0.15% 0.97% Variance 0.02% -0.24% 0.02% -0.01% 0.05% 0.05% 0.00% 0.01% -0.01% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding September 30,

42 Portfolio Statistics: Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.20% 0.18% 0.16% 0.14% Core Benchmark 0.04% 0.03% 0.12% 0.10% 0.02% 0.08% 0.06% 0.04% 0.01% 0.02% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% 0.18% 0.15% Benchmark 0.16% 0.18% 0.15% Variance 0.01% 0.00% 0.00% Monthly Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% 0.35% 0.50% Benchmark 0.16% 0.34% 0.49% Variance 0.01% 0.01% 0.01% Fiscal YTD Performance September 30,

43 Portfolio Statistics: Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.50% 0.02% 0.40% 0.30% 0.01% 0.20% 0.10% 0.00% 0.00% -0.10% -0.20% Reserve Benchmark -0.01% -0.30% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.04% 0.44% -0.24% Benchmark -0.04% 0.44% -0.25% Variance 0.00% 0.00% 0.01% Monthly Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.04% 0.40% 0.16% Benchmark -0.04% 0.40% 0.15% Variance 0.00% 0.00% 0.01% Fiscal YTD Performance* September 30,

44 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.40% 0.00% 0.30% 0.20% -0.01% 0.10% 0.00% -0.02% -0.10% -0.03% -0.20% -0.30% Reserve Tsy Benchmark Tsy Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.04% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.08% 0.32% -0.22% Benchmark -0.07% 0.34% -0.23% Monthly Variance* Mon. Var % -0.02% 0.01% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % -0.03% -0.02% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* September 30,

45 Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.05% 0.04% Reserve Agy Benchmark Agy 0.03% 0.03% 0.02% 0.02% 0.01% 0.00% 0.01% -0.01% -0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.00% 0.04% -0.01% Benchmark 0.00% 0.02% 0.00% Mon. Var. 0.00% 0.02% -0.01% Monthly Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% 0.02% 0.01% *Total returns are based upon sub-sector weighted returns Note: Includes U.S. Agencies, Supranationals, and Municipal Securities Figures may not total due to rounding Fiscal YTD Variance* September 30,

46 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.10% 0.04% 0.08% 0.06% 0.03% 0.04% 0.02% 0.02% 0.00% -0.02% Reserve Corp Benchmark Corp 0.01% -0.04% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.04% 0.09% -0.02% Benchmark 0.03% 0.07% -0.02% Mon. Var. 0.01% 0.02% 0.00% Monthly Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% 0.03% 0.03% *Total returns are based upon sub-sector weighted returns Note: Includes Corporate Bonds and Asset-Backed Securities Figures may not total due to rounding Fiscal YTD Variance* September 30,

47 Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return Basis Points Basis Points Price Return Interest Return Component Total Return Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Interest Price Total September 30,

48 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Tsy Agy Corp Govt/Corp Index Index Sector Total Returns Basis Points Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Sector Total Returns (Basis Points) Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 AVG Index Treasury Agency Corporate September 30,

49 Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 83% 81% 79% 77% 75% 73% 71% 69% 67% Treasury Allocations: Reserve vs Index Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Index Reserve Aug-18 Sep-18 Percent 22% 21% 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% Corporate Allocations: Reserve vs Index Index Reserve Percent 11% 10% 9% 8% 7% 6% 5% 4% 3% Agency Allocations: Reserve vs Index Index Reserve Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Jul-18 Aug-18 Sep-18 Note: Corporate allocations include Corporate Bonds and Asset-Backed Securities; Agency Allocations include U.S. Agencies, Supranationals, and Municipal Securities September 30,

50 Effective Duration Allocations: Reserve vs. Benchmark 18% 16% 16.6% 16.7% 16.3% 16.5% 16.5% 16.2% Index Reserve 14% 12% 10% 12.8% 12.9% 11.1% 13.4% 10.1% 12.0% 12.1% 8% 7.0% 6% 4% 3.0% 4.1% 2% 1.7% 1.1% 0% 0.0% 0.0% Duration Buckets* *Calculated using market values September 30,

51 Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 16% Index Treasury 14% 13.5% 13.2% 13.4% Reserve Treasury 12% 10% 10.4% 12.0% 11.1% 10.7% 9.9% 9.1% 9.3% 10.0% 10.1% 8% 8.0% 6% 5.0% 4% 2.9% 4.1% 2% 1.4% 0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values September 30,

52 Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 4.0% 3.5% Index Agency Reserve Agency 3.0% 2.7% 2.5% 2.0% 1.8% 1.5% 1.0% 0.5% 0.0% 0.9% 1.0% 1.4% 1.2% 0.0% 0.0% 0.2% 0.0% 0.7% 0.5% 0.6% 0.3% 0.2% 0.7% 0.1% 0.4% 0.0% 0.0% Duration Buckets* *Calculated using market values September 30,

53 Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3% 3.5% 1.1% 2.4% 3.0% 3.3% 3.0% 2.5% 2% 2.1% 2.0% 1.7% 1.6% 1.8% 1.9% 1.6% 1.3% 1% 0% 0.0% 0.0% 0.1% 0.1% 0.0% Duration Buckets* *Calculated using market values September 30,

54 Total General Portfolio: Credit Quality S&P Moody's S&P Moody's Issuer Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury $5,946,656, % AA+ Aaa Pfizer $19,712, % AA A1 FNMA $342,193, % AA+ Aaa Costco $19,465, % A+ A1 MUFG Bank $227,954, % A A1 UnitedHealth Group $18,957, % A+ A3 FHLB $112,377, % AA+ Aaa Goldman Sachs $16,719, % BBB+ A3 Chevron $102,468, % AA- Aa2 Bank of America NA $14,990, % A+ Aa3 Mizuho Bank $99,583, % A A1 Comerica $14,926, % BBB+ A3 John Deere $97,123, % A A2 Oracle $14,925, % AA- A1 FHLMC $93,513, % AA+ Aaa Cisco $14,816, % AA- A1 Exxon Mobil $91,128, % AA+ Aaa Precision Castparts $14,798, % AA- A2 IBRD $91,033, % AAA Aaa IFC $14,752, % AAA Aaa Wells Fargo Bank* $88,505, % NR NR Georgia Power Company $14,721, % A- Baa1 Apple $83,898, % AA+ Aa1 Intel $14,590, % A+ A1 Toyota $80,082, % AA- Aa3 Procter & Gamble $14,580, % AA- Aa3 US Bank $78,703, % AA- A1 Mastercard $14,497, % A A2 State of California $78,333, % AA- Aa3 Public Service Electric $11,898, % A Aa3 PNC Bank $68,494, % A A2 Chase Cards ABS $11,885, % AAA NR IADB $68,350, % AAA Aaa Charles Schwab $10,001, % A A2 Philip Morris $58,100, % A A2 KeyBank $9,986, % A- A3 Citibank $54,625, % A+ A1 3M Company $9,983, % AA- A1 Bank of New York Mellon $54,408, % A A1 Nevada Power $9,971, % A+ A2 Natl Securities Clearing $49,927, % AA+ Aaa Home Depot $9,963, % A A2 Citibank Credit Card ABS $49,319, % AAA Aaa American Express Corp $9,949, % BBB+ A3 American Honda $44,188, % AAA Aaa Berkshire Hathaway $9,949, % AA Aa2 Pepsico $44,125, % A+ A1 M & T Corp $9,939, % A- A3 Komatsu $43,209, % A2 A State Street $9,922, % A A1 Microsoft $41,335, % AAA Aaa BB&T Corp $9,911, % A- A2 IBM $39,351, % A+ A1 Gilead Sciences $9,899, % A A3 Caterpillar $39,116, % A A3 American Express $9,888, % A- A2 JPMorgan Chase & Co $34,620, % A- A3 JPMorgan Chase Bank $9,887, % A+ Aa3 Amex. Cards ABS $31,844, % A+ A2 Wells Fargo & Co $9,881, % A- A2 Coca Cola $31,631, % A+ Aa3 Qualcomm $9,869, % A- A2 Prudential Funding $30,735, % A2 AA- Visa $9,827, % A+ A1 Morgan Stanley $29,911, % BBB+ A3 US Bancorp $9,776, % A+ A1 M&T Trust $29,635, % A A3 United Parcel $9,662, % A+ A1 Johnson & Johnson $29,433, % AAA Aaa United Tech $9,574, % A- Baa1 Walt Disney $29,406, % A+ A2 Goldman Sachs Bank $6,020, % A+ A1 Branch Banking and Trust $24,472, % A A1 Automatic Data Processing $4,936, % AA Aa3 Honeywell $24,053, % A A2 Danaher $4,918, % A A2 Hershey $21,980, % A A1 Dreyfus Cash Mgmt $4,800, % AAAm Aaa-mf Capital One Cards ABS $21,063, % AAA NR Public Storage $4,795, % A A2 Union Pacific $19,967, % A- Baa1 Total $9,106,342, % General Dynamics $19,922, % A+ A2 *Checking Account September 30,

55 Total General Portfolio Transactions Total Monthly Transactions Buys* Sells** 0 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 *Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Buys Sells/Calls Total Reserve Transactions Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Buys Sells/Calls Total Total Transactions Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Buys Sells/Calls Total September 30,

56 Portfolio Transactions: Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 9/4/18 Pfizer Corp 9/15/21 10,000,000 Buy 9/7/18 U.S. Treasury Note Tsy 7/31/23 30,000,000 Buy 9/11/18 3M Company Corp 9/14/21 10,000,000 Buy 9/11/18 Honeywell Corp 10/30/19 10,000,000 Sell 9/11/18 Pepsico Corp 10/4/19 10,000,000 Sell 9/11/18 Bank of New York Mellon Corp 9/11/19 15,000,000 Transfer 9/18/18 Citibank Corp 9/18/19 10,000,000 Transfer 9/24/18 JPMorgan Chase Bank Corp 9/23/19 10,000,000 Transfer 9/28/18 U.S. Treasury Note Tsy 9/30/19 30,000,000 Sell 9/28/18 U.S. Treasury Note Tsy 9/15/21 25,000,000 Buy 9/28/18 U.S. Treasury Note Tsy 9/30/20 20,000,000 Buy 9/28/18 U.S. Treasury Note Tsy 9/30/23 35,000,000 Buy 9/28/18 U.S. Treasury Note Tsy 9/30/19 20,000,000 Transfer 9/28/18 U.S. Treasury Note Tsy 9/30/19 60,000,000 Transfer 9/28/18 U.S. Treasury Note Tsy 9/30/19 20,000,000 Transfer *"Transfer" is from Reserve to Core September 30,

57 Portfolio Transactions: Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 9/4/18 Chevron CP 10/10/18 44,118,000 Buy 9/5/18 Komatsu CP 10/9/18 25,000,000 Buy 9/5/18 Toyota Motor CP 10/11/18 35,400,000 Buy 9/6/18 IBRD DN Supra 10/24/18 31,372,000 Buy 9/6/18 FHLB DN Agy 9/7/18 10,000,000 Buy 9/7/18 Komatsu CP 10/11/18 18,240,000 Buy 9/10/18 Exxon Mobil CP 9/13/18 14,440,000 Buy 9/11/18 Prudential Funding CP 9/13/18 22,640,000 Buy 9/11/18 Bank of New York Mellon Corp 9/11/19 15,000,000 Transfer 9/12/18 Prudential Funding CP 9/14/18 17,500,000 Buy 9/13/18 Bank of New York Mellon CP 9/14/18 15,741,000 Buy 9/14/18 Apple CP 9/20/18 18,340,000 Buy 9/17/18 Prudential Funding CP 9/20/18 20,004,000 Buy 9/17/18 Prudential Funding CP 9/20/18 29,400,000 Buy 9/18/18 FHLB DN Agy 9/20/18 38,000,000 Buy 9/18/18 FHLB DN Agy 9/24/18 13,283,000 Buy 9/18/18 Citibank Corp 9/18/19 10,000,000 Transfer 9/19/18 John Deere CP 10/24/18 15,708,000 Buy 9/19/18 Natl Securities Clearing CP 10/22/18 50,000,000 Buy 9/20/18 FHLB DN Agy 9/21/18 25,000,000 Buy 9/20/18 MUFG Bank CP 9/27/18 25,323,000 Buy 9/21/18 Mizuho Bank CP 12/3/18 100,000,000 Buy 9/21/18 MUFG Bank CP 10/15/18 25,000,000 Buy 9/21/18 MUFG Bank CP 10/24/18 24,080,000 Buy 9/21/18 MUFG Bank CP 11/5/18 25,000,000 Buy 9/21/18 MUFG Bank CP 11/13/18 25,000,000 Buy 9/21/18 FHLB DN Agy 10/15/18 70,130,000 Buy 9/24/18 Natl Securities Clearing CP 9/25/18 6,305,000 Buy 9/24/18 JPMorgan Chase Bank Corp 9/23/19 10,000,000 Transfer 9/25/18 Exxon Mobil CP 10/25/18 38,717,000 Buy 9/25/18 FHLB DN Agy 9/26/18 15,000,000 Buy 9/26/18 IBRD DN Supra 10/15/18 1,235,000 Buy *"Transfer" is from Reserve to Core September 30,

58 Portfolio Transactions: Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 9/26/18 Exxon Mobil CP 10/11/18 22,845,000 Buy 9/27/18 Prudential Funding CP 10/15/18 30,767,000 Buy 9/28/18 MUFG Bank CP 10/23/18 24,500,000 Buy 9/28/18 U.S. Treasury Note Tsy 9/30/19 20,000,000 Transfer 9/28/18 U.S. Treasury Note Tsy 9/30/19 60,000,000 Transfer 9/28/18 U.S. Treasury Note Tsy 9/30/19 20,000,000 Transfer *"Transfer" is from Reserve to Core September 30,